Approximately $110.6 Million of Structured Securities Affected
New York, June 30, 2010 -- Moody's Investors Service (Moody's) affirmed the ratings of four classes,
confirmed one class and downgraded six classes of PNC Mortgage Acceptance
Corp., Commercial Mortgage Pass-Through Certificates,
Series 2000-C1. The downgrades are due to higher expected
losses for the pool resulting from realized and anticipated losses from
loans in special servicing, concerns about loans approaching maturity
in an adverse environment and interest shortfalls. Although the
pool has paid down significantly since Moody's last review, the
exposure to specially serviced loans has also increased, from 1%
to 68% of the pool. Additionally, a large portion
of the pool, 73%, has or is scheduled to mature within
the next six months.
The affirmations are due to significant increased credit subordination
resulting from loan payoffs and amortization and key rating parameters,
including Moody's loan to value (LTV) ratio and Moody's stressed debt
service coverage ratio (DSCR), remaining within acceptable ranges.
Moody's placed seven classes of this transaction on review for possible
downgrade on March 31, 2010. This action concludes the review.
The rating action is the result of Moody's on-going surveillance
of commercial mortgage backed securities (CMBS) transactions.
As of the June 15, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 86% to $110.6
million from $801.0 million at securitization. The
Certificates are collateralized by 42 mortgage loans ranging in size from
less than 1% to 15% of the pool, with an average loan
balance of $2.6 million. The top ten loans represent
59% of the pool. Three loans, representing 4%
of the pool, have defeased and are collateralized by U.S.
Three loans, representing 4% of the pool, are on the
master servicer's watchlist. The watchlist includes loans which
meet certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC; formerly Commercial Mortgage Securities Association)
monthly reporting package. As part of our ongoing monitoring of
a transaction, Moody's reviews the watchlist to assess which loans
have material issues that could impact performance.
Twenty-four loans have been liquidated from the pool since securitization,
resulting in an aggregate $13.3 million realized loss (18%
loss severity on average). Twenty-one loans, representing
68% of the pool, are currently in special servicing.
A majority of the loans were transferred to special servicing due to balloon
default. The largest specially serviced loan, which is also
the largest loan in the pool, is the Ryder Integrated Logistics
Loan ($16.3 million - 15.0%),
which is secured by a 455,000 square foot light industrial building
located in Auburn Hills, Michigan. The loan was transferred
to special servicing in November 2009 after the property's single
tenant vacated and is currently in the process of foreclosure.
The servicer has recognized a $11.3 million appraisal reduction
for this loan.
The second largest specially serviced loan is the 26711 Northwestern Hwy
Loan ($11.8 million - 10.7% of the
pool), which is secured by a 137,476 square foot office building
located in Southfield, Michigan. The loan was transferred
to special servicing in January 2010 due to the failure to pay the balloon
payment at the January 2010 maturity date. The loan is currently
in the process of foreclosure. The remaining 19 specially serviced
loans are secured by a mix of property types. Moody's estimates
an aggregate $29.1 million loss for all specially serviced
loans (42% expected loss on average). The servicer has recognized
an aggregate $15.1 million appraisal reduction for six of
the specially serviced loans.
Based on the most recent remittance statement, Classes H through
O have experienced cumulative interest shortfalls totaling $2.1
million. Moody's anticipates that the pool will continue
to experience interest shortfalls because of the high exposure to specially
serviced loans. Interest shortfalls are caused by special servicing
fees, including workout and liquidation fees, appraisal subordinate
entitlement reductions (ASERs) and extraordinary trust expenses.
Moody's was provided with full or partial year 2009 operating results
for 81% of the pool. Moody's weighted average LTV ratio,
excluding the specially serviced loans, is 74% compared to
75% at Moody's prior full review.
Excluding the specially serviced loans, Moody's actual and stressed
DSCR are 1.20X and 1.76X, respectively, compared
to 1.54X and 1.54X at last review. Moody's actual
DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt
service. Moody's stressed DSCR is based on Moody's NCF and a 9.25%
stressed rate applied to the loan balance.
Moody's uses a variation of the Herfindahl Index (Herf) to measure diversity
of loan size, where a higher number represents greater diversity.
Loan concentration has an important bearing on potential rating volatility,
including the risk of multiple-notch downgrades under adverse circumstances.
The credit neutral Herf score is 40. The pool, excluding
defeased loans, has a Herf of 16 compared to 81 at last full review.
The top three conduit loans represent 14% of the pool. The
largest conduit loan is the Willow Run Business Center II Loan ($8.8
million - 7.9% of the pool), which is secured
by a 398,200 square foot industrial property located in Ypsilanti,
Michigan. The property is fully occupied by a single tenant,
General Motors, through August 2012. Although property performance
has been stable since last review, Moody's valuation reflects current
market conditions due to the near-term 100% rollover exposure.
The loan has passed its July 2009 anticipated repayment date (ARD) and
is current. Moody's LTV and stressed DSCR are 116% and 0.98X,
respectively, compared to 56% and 1.93X at last review.
The second largest conduit loan is the Quality Inn Sports Complex Loan
($3.3 million - 3.0% of the pool),
which is secured by a 142 room limited service hotel located in Lyndhurst,
New Jersey. Property performance has declined since last review
as the hotel has been impacted by the downturn in the tourism industry.
The loan is currently on the master servicer's watchlist due low DSCR.
Moody's has determined that there is a high probability that this loan
may default prior to maturity in October 2013. Moody's LTV and
stressed DSCR are 173% and 0.75X, respectively,
compared to 91% and 1.43X at last review.
The third largest conduit loan is the Hampton Inn Maple Grove Loan ($3.3
million - 3.0% of the pool), which is secured
by a 120 room limited service hotel located in Maple Grove, Minnesota.
Property performance has declined since last review as the hotel has been
impacted by the a downturn in the tourism industry. The loan has
amortized by 9% since last review and matures in October 2013.
Moody's LTV and stressed DSCR are 66% and 1.95X, respectively,
compared to 31% and 4.07X at last review.
Moody's rating action is as follows:
-Class C, $3,679,847, affirmed at
Aaa, previously upgraded to Aaa from A1 on 5/23/2006
-Class X, Notional, affirmed at Aaa; previously
assigned at Aaa on 11/08/2000
-Class D, $10,014,000, affirmed
at Aaa, previously upgraded to Aaa from Aa1 on 7/09/2007
-Class E, $26,036,000, affirmed
at Aa1, previously upgraded to Aa1 from Aa3 on 9/25/2008
-Class F, $12,016,000, confirmed
at A1, previously placed on review for possible downgrade on 3/31/10
-Class G, $12,017,000, downgraded
to B1 from Baa1, previously placed on review for possible downgrade
-Class H, $ 18,024,000, downgraded
to Ca from Ba2, previously placed on review for possible downgrade
-Class J, $8,011,000, downgraded
to C from Ba3, previously placed on review for possible downgrade
-Class K, $7,010,000, downgraded
to C from B2, previously placed on review for possible downgrade
-Class L, $8,011,000, downgraded
to C from Caa2, previously placed on review for possible downgrade
-Class M, $5,779,870, downgraded
to C from Ca, previously placed on review for possible downgrade
Moody's monitors transactions on both a monthly basis through two
sets of quantitative tools: MOST® (Moody's Surveillance
Trends) and CMM on Trepp, and a periodic basis through a full review.
Moody's prior full review is summarized in a press release dated
July 23, 2007.
The principal methodology used in rating and monitoring this transaction
is "CMBS: Moody's Approach to Rating U.S. Conduit
Transactions" published on September 15, 2000, which
can be found at www.moodys.com in the Ratings Methodologies
sub-directory under the Research & Ratings tab. Moody's
did not employ its large loan methodology for this deal despite the low
Herfindahl Index due to a significant increase in credit enhancement since
our last review and the increased severities we employed in our analysis.
Other methodologies and factors that may have been considered in the process
of rating this transaction can also be found in the Rating Methodologies
sub-directory on Moody's website. In addition,
Moody's publishes a weekly summary of structured finance credit,
ratings and methodologies, available to all registered users of
our website, at www.moodys.com/SFQuickCheck.
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
Michael M. Gerdes
Senior Vice President
Structured Finance Group
Moody's Investors Service
Moody's Affirms Four, Confirms One and Downgrades Six CMBS Classes of PNCMA 2000-C1